Take the Øresund train from Copenhagen to Sweden. At Malmö C, Hyllie or Triangeln you will need to switch to Skånetrafikens Pågatåg (commuter rail), which runs the rest of the road to Ystad, where the ferry is. A ticket is always required for the ferry. The trip by train and ferry and both trains can be booked together via DSB, link further down this page. Tickets are available from DKK 149,- one-way.
Total travel time from Copenhagen: Approx. 3 hours and 45 minutes.
In the Øresund train and Pågatåg you can bring a bicycle. There is a special price for Bornholm, which includes the transport of the bicycle between the capital city and Rønne. You can not bring bicycle trailers, tandems or special bikes on the train. There is no space for bicycles in Øresundstog and Pågatåg. Therefore, it can not be guaranteed that there is enough space on all departures. We recommend that you leave early in advance of your ferry departure. Read more about booking your bike ticket here (link in danish or call DSB at +0045 70131415 for more info).
Remember to bring your id (EU driver’s licence, ID card or passport) for the border control on the Dano-Swedish border. We recommend that you bring passport, as there have been episodes in which the other ID’s has not been approve
Read more about the train to and from Bornholm here